System and method for managing data for delivering a pre-calculated defined investment outcome in an exchange-traded fund

ABSTRACT

A computer-based apparatus for managing data based on performance of an underlying securities index including a memory element of a computer configured to store computer executable instructions and a processor for the computer, configured to execute the computer readable instructions to receive information on a lower buffer threshold against losses for an investment, and determine a total return on the investment during an outcome period o, wherein the total return is adjusted to fall above the buffer threshold.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.16/930,150, filed Jul. 15, 2020, which claims the benefit of U.S.Provisional Patent Application No. 62/874,495 filed Jul. 15, 2019entitled “System And Method For Offering Structured Defined OutcomeInvesting In An Exchanged-Traded Fund”, which is incorporated byreference herein in its entirety.

BACKGROUND OF THE INVENTION

In the financial industry globally, there are many structures and pooledvehicles used to pursue or achieve investment outcomes. For individual“retail” investors, this may include putting their money for investmentinto mutual funds or into an account to be professionally managed by aninvestment adviser. For institutions or more sophisticated investors,additional investing options may be made available, such as structuresproducts, bank-issued notes, and annuities.

The stated objective of an investment product, that is, to achieve somekind of performance or result, can, for example, be based on aninvestment methodology or can track the relative performance of anindex. An investment product could hold all the stocks represented inthe S&P 500 index and generally match the performance of those holdingsand the index value went up or down. Another could be a strategy whichseeks to lessen the impact of losses due to downturns in theinvestments, like providing a “buffer” or floor to losses beyond acertain point. This is why any investor today can likely find a fund ora strategy which meets their targeted investment objectives and personalinvestment risk appetite.

As the number of offerings of investing objectives has greatly expanded,so too has the number of investment vehicles available to deliver thosestrategies. While mutual fund may be the most common structure known toinvestors, other vehicles may be adapted and adjusted to offer similarinvestment strategies. For example, if an investment manager has asuccessful investment methodology for delivering higher investmentperformance trading large cap US equity securities in a client account,their strategy might also then be offered to investors in the form of amutual fund or a structured note.

A structured note, also sometimes referred to as a structured product,are debt obligations where an issuer, typically a global bank, ties theinvestor's desired investment outcome to a particular benchmark orindex. Because these instruments are more flexible than registeredproduct such as mutual funds, the issuer can have more flexibility inthe investment strategies being offered, such as higher concentration inholding certain securities, such as options or other derivatives. Assuch, structured products were initially a place where a sophisticatedinvestor could seek to obtain a definitive investment profile, likeprotection against downside investment performance losses.

However, structured notes as a product have many obvious limitations orrisks to investors. First, structured notes concentrate all the creditrisk to one counterparty issuer. As these notes are unsecured debtobligations, the investor could lose a significant amount or all oftheir investment in an issuer default. Second, these notes are issueddirectly and do not typically have a secondary pricing market, which canimpair the pricing and redemption value of the investment, typicallyresulting in a discount to value by the issuer when seeking to exit theinvestment. Third, since these products are obligations for a fixedterm, they must also be liquidated and unwound after their term,sometimes at a discount to value, including the resulting impact ofcosts and taxes to investors. Last, as these products are not registeredproducts, they may also lack the disclosures, accountability andtransparency that other financial products may provide, such as withmutual funds.

In the US, a mutual fund is a pooled investment structure which isregistered with the US Securities and Exchange Commission (“SEC”) andoffered to the investing public. Generally structured as a corporateentity, like a state registered business trust, mutual funds are aseries of sub-portfolios of that trust, each recognized as separatefunds on one platform for tax and liability purposes.

According to the definitions of the SEC, a mutual fund is an open-endinvestment company or fund. An open-end fund is one of three basic typesof investment companies. The other two types of investment companies areclosed-end funds and unit investment trusts (UITs). Exchange-tradedfunds (ETF or ETFs) are generally also structured as open-end funds, yethave several structural distinctions from those of a mutual fund.

A mutual fund continuously pools money from many investors and investsthe money in stocks, bonds, money market instruments, other securities,or even cash.

Below are some of the traditional and distinguishing characteristics ofopen-end mutual funds:

-   -   a. Mutual funds generally sell and purchase their shares on a        continuous basis, although some funds will stop selling when,        for example, they reach a certain level of assets under        management.    -   b. Investors purchase shares in the mutual fund from the fund        itself, or through a broker for the fund. Investors cannot        purchase the shares from other investors on a secondary market,        such as the New York Stock Exchange or Nasdaq Stock Market. The        price that investors pay for mutual fund shares is the fund's        current net asset value (NAV) per share plus any fees that the        fund may charge at purchase, such as sales charges or loads.    -   c. Mutual fund shares are redeemable. This means that when        mutual fund investors want to sell their fund shares, they sell        them back to the fund or to a broker acting for the fund.        Investors sell their shares at the current NAV per share, minus        any fees the fund may charge at redemption, such as deferred        sales loads or redemption fees.    -   d. Mutual funds are registered with the SEC and subject to SEC        regulation. In addition, the investment portfolios of mutual        funds typically are managed by separate entities known as        investment advisers that are also registered with the SEC.

There are many varieties of mutual funds, including, stock funds, bondfunds, and money market funds. Some mutual funds are index funds andother are actively managed. Each may have a different investmentobjective and strategy and a different investment portfolio. Differentmutual funds may also be subject to different risks, volatility, andfees and expenses. Fees reduce returns on fund investments and are animportant factor that investors should consider when buying mutual fundshares.

The form and structure of the delivery vehicle for the invention is anopen-end fund in the form of an exchange-traded fund (“ETF” or “ETFs”),the basic features of which are well known in the industry. ETFs are aform of investment vehicle that were first introduced to the U.S.markets in 1993. The initial ETFs, called Standard and Poor's DepositaryReceipts (“SPDRs”), under the ticker symbol “SPY”, were a unit trustdesigned to track and match the performance of the S&P 500 index. Since1993, the creation and trading of ETFs in the U.S. and internationalmarkets has grown exponentially. According to ETFGI, as of April 2019the global ETF industry had over 7,774 exchange-traded products from 412ETF sponsors listed on 71 exchanges in 58 countries, accounting for$5.57 trillion USD.

Descriptions of some types of such exchange-traded funds may also befound in prior publications such as U.S. Pat. Nos. 6,879,964 and7,865,426. The entire disclosures of U.S. Pat. Nos. 6,879,964 and7,865,426 are incorporated herein by reference.

By comparison, an ETF is recognized as several features which generallymake it more desirable to investors than investing in a mutual fund,Those features include being relatively cheaper and easier to invest inan ETF, full transparency on the value of the investments held by theETF (as these are daily posted publicly for all investors, and can betracked during trading hours to see the real-time value), the ability tobuy and sell shares of an ETF throughout the day, and, importantly, thetax efficiency of ETFs both for the fund and for investors to avoidcapital gains, double taxation, or redemption fees and other adverse taximpacts resulting from shareholder movement.

Despite tremendous growth and continued interest in ETF investing, thereremains a need for an alternative and improved ETF investing model andmethodology for creating and trading ETFs that address the needs ofinvestors seeking defined outcomes in ETF investing, yet overcome thedeficiencies of the current models and methodologies, and lack ofoptions available in the investment marketplace.

Prior to 2020, to create and offer ETFs in the U.S. market a registeredinvestment adviser would have to request and receive exemptive reliefdirectly from SEC. That approval process required a lengthy reviewprocess of the design and qualifications of both the potential ETFsponsor (the asset manager), and of the particular fund to be an ETF. Asa design-side exercise, the Applicant had to invest significantresources and time to design and accomplish an entirely new productstructure and process to meet the SEC's standards for the type of newETFs. However, at the date of the effective filing of this Application(Jul. 15, 2019), the Applicant was the first and only investment managerwhich had received the requisite regulatory approval from the SEC toissue and offer Defined Outcome ETFs™, which required utilizing themodel and methodology of the invention as described in this application.That SEC approval granted to the Applicant was conditioned upon themeeting and delivering of certain key elements, which is inclusive ofthose elements which are described herein as the invention.

Improvements were needed in the field of open-end funds, and even moreso to deliver a defined investment outcome in the transparent andtax-efficient ETF structure been available to investors in ETFs prior tothe invention. Given the added complexity of managing an investmentstrategy within the required parameters of an ETF can many timesdiscourage an active investment manager from attempting to replicatetheir strategy within an ETF structure. If that strategy also wasintended to follow a complicated strategy, such as one utilizingoptions, that multilayered operational and regulatory complexity couldprove insurmountable for some managers.

Options are not securities but financial derivatives which give buyersof those contracts the right, but not the obligation, to buy (or “call”)or sell (a “put”) an underlying asset at an agreed-upon price and futuredate. Options strategies can be implemented in different manners fordiffering objectives, depending on the investor and the desiredinvestment outcome. For example, a fund could use options in a designedinvestment strategy to achieve a certain return profile (e.g., a portionof upside performance benchmarked to an index), perhaps with apre-determined limit on their loss of value on the investment, much likea “buffer”. A ‘buffer’ strategy is one in which the investor's principalpreservation, either in full or for some measured portion of theinvestment return, is a key deliverable of the investment strategy.

“Defined outcome” strategies seek to produce pre-determined investmentoutcomes based upon the performance of an underlying security or index.A defined outcome investment experience may or may not also provide abuffer against certain losses for investors, and a buffer fund may ormay not also provide a pre-determined investment outcome or payoffprofile. For example, some prior funds have included an option overlayof the underlying investment strategy as a nominal hedge to loss, butmight be limited and uncertain.

There have been mutual funds who have provided some form of downsideprotection or buffer before, but those have generally not also providedboth of these investment objectives together in one investmentstructure. There have previously been recognized limits to how aninvestment manager could deliver a defined outcome for investors aswell.

Prior to the invention, investment managers seeking to deliver definedoutcome to their investor clients had limited options, with limitedsuccesses. Certainly, an adviser could manage a single account, for aparticular time duration, directly for one client. To the extent thiswould be a good payoff profile for a single investor despite theexpenses and risks, the costs and design aspects of a single managedaccount would limit the scale or scope of providing the same formultiple investors at once.

Further, managers have also sought to deliver defined and targetedoutcomes in the form of a structured note or insurance-related product,such as an annuity contract. These arrangements included theconcentrated issuer credit risk, prolonged lock-ups, lack of marketvaluation or transparency and heavy costs related to similar notes andcontracts.

Pooled versions of a defined outcome investment strategy have previouslybeen attempted by some asset managers in the form of offering a unitinvestment trust (UIT). While this allows the manager to deliver aninvestment outcome for several investments at once, UITs can be veryexpensive to investors, and are not dynamic in investment nature (i.e.,the UIT purchases a position on day one, and holds it over a durationperiod). While this may create an effective yet inefficient investmenthorizon for the investor, one primary disadvantage of a UIT alsoincludes that, like a note, they terminate at a date certain (e.g., ateleven months). This can frequently result in adverse tax consequencesto investors for holding to the end of the brief investment period,while experiencing the higher impact of tax and costs at the time oftermination.

Thus, in the financial industry there had never been an attempt, muchless a successful one, to gather all those objectives and to deliverthose in an ETF structure. At the time the Applicant designed andsuccessfully managed a listed ETF based on the invention, no investmentproduct and integrated proprietary process had ever been accomplished todeliver an ETF, with all the advantages and benefits of this structure,with a buffered investment protection, with a automatically resettingperpetual defined outcome profile for the investors.

The present invention specifically relates to systems, methods, andprocesses for offering financial securities funds in a manner which hasnever been achieved before the invention. Most importantly, priorattempts to provide investors with a comparable “defined outcome”(providing an investor with a set investment result over a period oftime relative to the movement of an underlying reference asset, such asthe performance of an index) were only made available via other vehiclesor structures exclusive of ETFs, such as being offered in a structureproduct (e.g., a bank-issued note) or variable annuity contract.

Thus, the complex integration of layered investment outcomes—aninvestment return profile which both delivers a targeted outcome over acertain period of time, with a benefit to the investor of protectingagainst a calculated level of losses on the investment, and offeredwithin the advantages of the ETF vehicle—are now accomplished in theembodiment of the investment. It is that technology enhanced structureplus process which is the heart of the invention.

SUMMARY OF THE INVENTION

Embodiments of the present invention are directed to a computer-basedapparatus for managing data based on performance of an underlyingsecurities index including a memory element of a computer configured tostore computer executable instructions and a processor for the computer,configured to execute the computer readable instructions to receiveinformation on a lower buffer threshold against losses for aninvestment, and determine a total return on the investment during anoutcome period, wherein the total return is adjusted to fall above thebuffer threshold.

In some embodiment, the processor is further configured to execute thecomputer readable instructions to receive information on a maximumreturn cap for the investment, and wherein the total return is furtheradjusted to fall below the maximum return cap.

In some embodiment, the processor is further configured to execute thecomputer readable instructions to render, on a user interface, a dynamictool associated with information related to the investment and receive,on the user interface, an input and updating the dynamic tool based onthe input.

Another embodiment of the present invention provides a computer-basedmethod for managing data based on performance of an underlyingsecurities index, the method including storing computer executableinstructions in a memory element of a computer and executing, using aprocessor for the computer, the computer readable instructions toreceive information on a lower buffer threshold against losses for aninvestment, and determine a total return on the investment during anoutcome period, wherein the total return is adjusted to fall above thebuffer threshold.

In some embodiment, the method further includes executing the computerreadable instructions to receive information on a maximum return cap forthe investment and wherein the total return is further adjusted to fallbelow the maximum return cap.

In some embodiments, the method further includes executing the computerreadable instructions to receive information on a maximum return cap forthe investment, and wherein the total return is further adjusted to fallbelow the maximum return cap, and wherein upon the completion of astated outcome period, automatically determining return profile terms,along with refreshed caps and values, for a next defined outcomeduration period and automatically implementing the return profile terms.

In some embodiments, the method of the present invention, rather thanterminating and closing upon the completion of a stated outcome period(with redemptions and potential taxable events to investors),automatically determines the return profile terms, along with refreshedcaps and values, for the next defined outcome duration period andautomatically implements that, and the investor remains fully investedin the investment fund as the investment fund continues perpetually,with the terms and values of the refreshed and reset defined outcome forthat investment fund, as a result of the invention.

The invention provides methods and systems for offering ETFs thatprovide a protective “buffer” for investors from downside losses ontheir investments in the embodiment ETF (here, “Fund” or “the ETF”),along with the defined outcomes the investors want. That is, if aninvestor invests in the Fund they know at the date of investment whattheir potential upside could be, but also are afforded a buffer ofprotection against certain pre-defined loss amounts over a specifiedperiod of time. The ETFs developed herein utilize an investment return“cap” on the top end of the investment returns as a feature. Indifferent embodiments, the method and system provide ETFs that may beoffered with varying levels of buffer protection for investors to select(i.e., buffers against losses of −9%, −15%, from −5% to −35%, or somedetermined amount up to 100%). In some embodiments, the ETFs providedunder the method and system utilize “FlexOptions” (here, customizedoption contracts written by the Cboe exchange) to achieve thepredetermined investment results. These options, themselvesexchange-traded, are written on published indexes for a pre-determinedduration.

Each of the ETFs offered under this method and system have a setduration period (in the initial embodiment, 12 months or potentiallyless, if that particular fund has been initially launched less than 12months from the target date) for the applicable terms of the cap rates.However, unlike any other ETF or financial products, at the end of thatstated outcome period, the ETF itself does not terminate, but insteadre-sets its cap rates and refreshes the downside buffer for the nextapplicable 12 months. Under the method and system, the key terms ofthese ETFs (the top-end cap rates for upside investment and the durationterm) each reset at the end of the stated duration periods.

Another key aspect of the model and methodology of the invention, whichis unique from any other ETF to date, is that it does not reset itsoptions daily or weekly, like some ETFs currently offered, but insteadat targeted twelve-month periods (in its initial embodiment).

The resulting, unique benefit of the invention to the investor is (i)access to this strategy in a manner not otherwise made available to thegeneral public; (ii) the ability to access and investment fund whichprovides certainty of targeted outcome returns; (iii) the ability withinan investment fund to access defined outcomes, with options available toadjust for risk profiles and duration; (iv) the continuity of the Fundwhich reset beyond initial outcome periods, allowing the investor tostay invested without the disruption and potential adverse taximplications of a note or financial product which otherwise terminatesat the end of the target outcome date; (v) the ability for the retailpublic to invest in the strategy without the investor downsides andrestrictions of obtaining that strategy via a structured product orannuity; and (vi) for the benefit of the investor, maximizes the valueof all these key aspects of the invention in a ETF structure by furtherproviding (a) lower costs relative to other vehicles accessing thestrategy, both in the subscription/redemption in and out of the Fund(e.g. no loads) and fees during the period of investment (e.g., lowermanagement fees and costs, no adverse shareholder redemption impact toremaining investors), (b) daily transparency in Fund values andholdings, even with intraday indicative values made public for thebenefit of investors and prospective investors; and (c) the benefit ofexchange-traded market arbitrage to keep Fund pricing competitive.

BRIEF DESCRIPTION OF THE DRAWINGS

For a better understanding of the various described implementations,reference should be made to the Detailed Description of implementationsbelow, in conjunction with the following drawings in which likereference numerals refer to corresponding parts throughout the figures.

FIG. 1 is an illustration of the overlapping concepts related tofinancial securities of the present invention.

FIG. 2 is an exemplary table describing examples of the fees andexpenses that a fund shareholder may pay if the shareholder buys andholds shares of an exemplary fund.

FIG. 3 is a comparison of the cost of investing in the exemplary fundwith the cost of investing in other funds.

FIG. 4 is an illustration of exemplary outcomes based upon ahypothetical performance of the S&P 500 Price Index for a shareholderthat holds the exemplary fund for the entirety of the Outcome Period.

FIG. 5A is an illustration of the combination of FLEX Options(a)+(b)+(c)+(d) providing upside participation that matches that of theS&P 500 Price Index.

FIG. 5B is a graph illustrating exemplary layers of the exemplary fund.

FIG. 6 is an example of financial performance of the exemplary fundoperating in an exemplary application of the method and system.

FIGS. 7A and 7B are exemplary flowcharts of managing data associatedwith the exemplary fund.

FIG. 8 is an illustration of an exemplary outcome tool associated withthe exemplary fund.

FIG. 9 is an illustration of a system for accessing the exemplaryoutcome tool associated with the exemplary fund.

FIGS. 10A and 10B are illustrations of exemplary outcome toolsassociated with the exemplary fund.

DETAILED DESCRIPTION OF THE INVENTION AND CERTAIN PREFERRED EMBODIMENTS

Using the system and method, in its initial embodiment the inventorshave created an exemplary fund (hereinafter also referred to as the“Fund”). While investment in defined outcome strategies may otherwise beoffered to potential investors in a structured note (includingexchange-traded notes), for example, the Fund is the first and only tooffer this strategy in an ETF which qualifies as an open-end “registeredinvestment company”, as that term is defined under the InvestmentCompany Act of 1940, as amended, and the Internal Revenue Code.

The Fund invests substantially all of its assets in FLexible EXchange®Options (“FLEX Options”) on the S&P 500 Price Return Index (“S&P 500Price Index”). FLEX Options are customizable exchange-traded optioncontracts guaranteed for settlement by the Options Clearing Corporation.The Fund uses FLEX Options to employ a “defined outcome strategy.” Thepre-determined outcomes sought by the Fund, which include the buffer andcap discussed below (“Outcomes”), are based upon the performance of theS&P 500 Price Index over a set time period. In an exemplary applicationof the system and method, the time period is a one-year period, e.g.,Jul. 1, 2019 through Jun. 30, 2020. This period is referred to as the“Outcome Period.” Following the conclusion of the Outcome Period,another approximately one-year outcome period, for example, from July 1to June 30, will begin. The Fund will not terminate after the conclusionof the Outcome Period. After the conclusion of the Outcome Period,another will begin. While the newly stated Outcome Periods are madepublic to current and potential investors in the Fund, there is noguarantee that the Outcomes for an Outcome Period will be realized toeach applicable investor. This may also be true for those investorsexiting the Fund prior to the maturity of the Outcome Period, or forthose investing at some other period during the Outcome Period (as notedbelow).

In its initial embodiment the Fund's strategy has been specificallydesigned to produce the Outcomes based upon the S&P 500 Price Index'sreturns over the duration of the Outcome Period. The Outcomes may onlybe realized if the fund shareholder is holding shares on the first dayof the Outcome Period and continues to hold them on the last day of theOutcome Period. If the fund shareholder purchases shares after theOutcome Period has begun or sells shares prior to the Outcome Period'sconclusion, the shareholder may experience investment returns verydifferent from those that the Fund seeks to provide.

In its initial embodiment Fund shareholders are subject to an upsidereturn cap (the “Cap”) that represents the maximum percentage return aninvestor can achieve from an investment in the Fund for the OutcomePeriod. Therefore, even though the Fund's returns are based upon the S&P500 Price Index, if the S&P 500 Price Index experiences returns for theOutcome Period in excess of the Cap, the shareholder will not experiencethose excess gains. The Cap is set on the first day of the OutcomePeriod and is, in an example, 8.88%, prior to taking into account anyfees or expenses charged to shareholders. When the Fund's annual Fundmanagement fee of 0.79% (as an example) of the Fund's average daily netassets is taken into account, the Cap is 8.09% (as an example). The Capwill be further reduced by any shareholder transaction fees and anyextraordinary expenses incurred by the Fund. Please note, if the OutcomePeriod has begun and the Fund has increased in value to a level near tothe Cap, an investor purchasing at that price has little or no abilityto achieve gains but remains vulnerable to downside risks. Additionally,the Cap may rise or fall from one Outcome Period to the next. There isno guarantee that the Cap will remain the same upon the conclusion ofthe Outcome Period.

The Fund only seeks to provide shareholders that hold shares for theentire Outcome Period with a buffer against the first 15% (as anexample) of S&P 500 Price Index losses (based upon the value of the S&P500 Price Index at the time the Fund entered into the FLEX Options onthe first day of the Outcome Period) during the Outcome Period. A fundshareholder will bear all S&P 500 Price Index losses exceeding 15% (asan example) on a one-to-one basis. The buffer is provided prior totaking into account annual Fund management fees equal to 0.79% (as anexample) of the Fund's daily net assets, transaction fees and anyextraordinary expenses incurred by the Fund. A shareholder thatpurchases shares at the beginning of the Outcome Period may lose theirentire investment. While the Fund seeks to limit losses to 85% (as anexample) for shareholders who hold shares for the entire Outcome Period,there is no guarantee it will successfully do so. Depending upon marketconditions at the time of purchase, a shareholder that purchases sharesafter the Outcome Period has begun may also lose their entireinvestment. For instance, if the Outcome Period has begun and the Fundhas decreased in value beyond the pre-determined 15% buffer (as anexample), an investor purchasing shares at that price may not benefitfrom the buffer.

Similarly, if the Outcome Period has begun and the Fund has increased invalue, an investor purchasing shares at that price may not benefit fromthe buffer until the Fund's value has decreased to its value at thecommencement of the Outcome Period.

Although the Fund seeks to achieve its investment objective, there is noguarantee that it will do so. The returns that the Fund seeks to providedo not include the costs associated with purchasing shares of the Fundand certain expenses incurred by the Fund. The Fund has characteristicsunlike many other traditional investment products.

A key aspect of the model and methodology of the invention includes theunique and improved system for pricing and valuing the Fund, bothintraday and in connection with the resetting of the caps at the end ofthe Outcome Period.

Investment Objective

In an exemplary application of the method and system, the Fund will seekto provide investors with returns that match those of the S&P 500 PriceIndex, up to the upside cap of, e.g., 8.88% (prior to taking intoaccount management fees and other fees) and, e.g., 8.09% (after takinginto account management fees and other fees), while providing a bufferagainst the first 15%, e.g., of S&P 500 Price Index losses, over a oneyear period, in this example, from Jul. 1, 2019 to Jun. 30, 2020.

Fees and Expenses of the Fund

FIG. 2 is a table describing examples of the fees and expenses that afund shareholder may pay if the shareholder buys and holds shares of theFund (“Shares”). Investors may pay brokerage commissions on theirpurchases and sales of Shares, which are not reflected in the table orthe example below.

Annual Fund Operating Expenses (expenses that shareholders pay each yearas a percentage of the value of the investment)

Referring to FIG. 3 , the table is intended to help an investor comparethe cost of investing in the Fund with the cost of investing in otherfunds. This example assumes that the investor invests $10,000 in theFund for the time periods indicated and then sells all of the investor'sShares at the end of those periods. The example also assumes that theinvestment has a 5% return each year and that the Fund's operatingexpenses remain at current levels. This example does not include thebrokerage commissions that investors may pay to buy and sell Shares.

Key Impacts of Offering Investment within the ETF Structure

As a result of providing investors defined outcomes with a buffer withinan ETF structure, the invention delivers this return profile to theinvestor with several key aspects inclusive of the following features:(i) no tiered or “institutional investor” level pricing to disqualifyinvestor access; there is only one “clean” share class made available,at one lower price; (ii) the unitary fee charged by the ETF generally ismaterially lower than the fees and costs charged by other productsaccessing the strategy (e.g., annuities, notes), thus permitting greateraccess by the investing public; (c) access to the strategy via the ETFdoes not come with a front-end or backend load or charge (e.g. 12b-1load), and likewise does not charge redemption fees of the investor whenredeeming Fund shares (although an investor's own brokerage fees totrade may apply); and (d) unlike any other vehicle or model offering thedefined outcome strategy to investors, the ETF provides transparentpricing to the public daily, along with the Fund's holdings, withintraday indicative values of the Fund also being made available.

Portfolio Turnover

In an exemplary application of the method and system, the Fund paystransaction costs, such as commissions, when it purchases and sellssecurities (or “turns over” its portfolio). A higher portfolio turnoverwill cause the Fund to incur additional transaction costs and may resultin higher taxes when Shares are held in a taxable account. These costs,which are not reflected in Total Annual Fund Operating Expenses or inthe example, may affect the Fund's performance. During the fiscal periodended Oct. 31, 2018, for example, the Fund's portfolio turnover rate was0% of the average value of its portfolio, excluding the value ofportfolio securities received or delivered as a result of the Fund'sin-kind creations and redemptions.

Principal Investment Strategies

General Strategy Description

In an exemplary application of the system and method, the Fund investsat least 80% of its net assets in FLexible EXchange® Options (“FLEXOptions”) that reference the S&P 500 Price Return Index (“S&P 500 PriceIndex”). FLEX Options are exchange-traded options contracts withuniquely customizable terms. Although guaranteed for settlement by theOptions Clearing Corporation (the “OCC”), FLEX Options are still subjectto counterparty risk with the OCC and may be less liquid than moretraditional exchange-traded options. Due to the unique mechanics of theFund's strategy, the return an investor can expect to receive from aninvestment in the Fund has characteristics that are distinct from manyother investment vehicles.

In general, an option contract is an agreement between a buyer andseller that gives the purchaser of the option the right to buy or sell aparticular asset at a specified future date at an agreed upon price. Inan exemplary application of the method and system, the reference assetfor all of the Fund's FLEX Options is the S&P 500 Price Index, alarge-cap, market-weighted, U.S. equities index that tracks the price(excluding dividends) of the 500 leading companies in leadingindustries.

In an exemplary application of the method and system, the pre-determinedoutcomes sought by the Fund, which include the buffer and Cap discussedbelow, are based upon the performance of the S&P 500 Price Index over aone year period, in this example, the period of Jul. 1, 2019 throughJun. 30, 2020. This period is referred to as the “Outcome Period.”Following the conclusion of the Outcome Period, another approximatelyone-year outcome period during the following July 1 to June 30 willbegin. In the event that the S&P 500 Price Index experiences gains overthe Outcome Period, the strategy under the method and system seeks toprovide investment returns that match the performance of the S&P 500Price Index, up to an upside return cap that represents the maximumpercentage return an investor can achieve from an investment in the Fundfor the Outcome Period (the “Cap”). In an exemplary application of themethod and system, the Cap is set on the first day of the Outcome Periodand is, e.g., 8.88% prior to taking into account any fees or expensescharged to shareholders. When the Fund's annual Fund management fee of,e.g., 0.79% of the Fund's average daily net assets is taken intoaccount, the Cap is, e.g., 8.09%. The Cap will be further reduced by anyshareholder transaction fees and any extraordinary expenses incurred bythe Fund. The date stipulated in all of the Fund's FLEX Options is theapproximate termination date of the Outcome Period, at which time theFund will invest in a new set of FLEX Options for the next OutcomePeriod.

In an exemplary application of the method and system, the Fund mayinvolve engagement of an investment sub-adviser (the “Sub-Adviser”), whomay construct a portfolio principally composed of, e.g., seven FLEXOptions on the S&P 500 Price Index that are each set to expire on thelast day of the Outcome Period. The customizable nature of FLEX Optionsallows the Sub-Adviser to select the price at which the S&P 500 PriceIndex will be exercised at the expiration of each FLEX Option. This iscommonly known as the “strike price.” At the commencement of the OutcomePeriod, the Sub-Adviser may specifically select the strike price foreach FLEX Option such that when the FLEX Options are exercised on thefinal day of the Outcome Period, the Outcomes may be obtained, dependingon the performance of the S&P 500 Price Index over the duration of theOutcome Period.

In an exemplary application of the method and system, the Fund will seekto generate returns that match the S&P 500 Price Index, up to the Cap(discussed in detail below), while limiting downside losses. The twohypothetical graphical illustrations provided in FIG. 4 illustrate theOutcomes based upon the hypothetical performance of the S&P 500 PriceIndex for a shareholder that holds Shares for the entirety of theOutcome Period.

Use of FLEX Options

In an exemplary application of the method and system, the Outcomes maybe achieved by purchasing and selling call and put FLEX Options tocreate layers within the Fund's portfolio. One layer is designed toproduce returns that match those of the S&P 500 Price Index for theOutcome Period if the S&P 500 Price Index has experienced gains duringthat time. To achieve these returns, the method and system comprisefeatures wherein the Fund will purchase a call option (giving the Fundthe right to receive the cash value of the S&P 500 Price Index) and aput option (giving the Fund the right to deliver the cash value of theS&P 500 Price Index), while simultaneously selling a call option (givingthe Fund the obligation to deliver the cash value of the S&P 500 PriceIndex) and a put option (giving the Fund the obligation to receive thecash value of the S&P 500 Price Index). Each of these FLEX Options has aspecifically selected strike price. The effect created by these fourpositions is that if the S&P 500 Price Index has increased in value overthe course of the Outcome Period, when the amount of cash the Fundreceives and delivers pursuant to the terms of its positions is nettedout, the Fund seeks to provide a gain that matches the gain experiencedby the S&P 500 Price Index. This gain is subject to the Cap, a maximuminvestment return level, which is discussed below.

In an exemplary application of the method and system, a separate layeris designed to produce the Fund's “power” buffer. “Power” denotes theFund's objective to provide returns that are buffered by up to, forexample, 15%, if the S&P 500 Price Index experiences a loss during thecourse of the Outcome Period. There is no guarantee that the Fund willbe successful in its attempt to provide buffered returns. The bufferthat the Fund seeks to provide is only operative against the first 15%,e.g., of S&P 500 Price Index losses for the Outcome Period. After theS&P 500 Price Index has decreased in value by more than, e.g., 15%, theFund will experience all subsequent losses on a one-to-one basis. Inseeking to achieve the power buffer, the Fund sells both a call optionand a put option. Both of these FLEX Options have a specificallyselected strike price. The effect created by these two positions is thatif the S&P 500 Price Index has decreased in value over the course of theOutcome Period, when the amount of cash the Fund receives and deliverspursuant to the terms of its positions is netted out, the Fund seeks tobe returned the amount of its principal investment (if the S&P 500 PriceReturn Index decreased in value by 15% or less, in the given example) orexperience a loss that is, e.g., 15% less than the loss experienced bythe S&P 500 Price Index (if the S&P 500 Price Return Index decreased invalue by more than 15%, in the example).

In an exemplary application of the method and system, each of the FLEXOptions purchased and sold throughout the Outcome Period will have thesame terms (i.e., strike price and expiration) as the corresponding FLEXOptions purchased and sold on the first day of the Outcome Period. Adetailed explanation regarding the terms of the FLEX Options and themechanics of the Fund's strategy can be found in “Additional InformationRegarding the Fund's Principal Investment Strategies” section below.

The Outcome Period

In an exemplary application of the method and system, the Outcomessought by the Fund may be based upon the value of the underlying FLEXOptions at the time they may be exercised at the conclusion of theOutcome Period. During the Outcome Period, the value of the FLEXOptions, and Fund's net asset value (“NAV”), may be significantlydifferent than their value at the commencement and/or conclusion of theOutcome Period. An investor that purchases Shares after the OutcomePeriod has commenced or sells Shares prior to the conclusion of theOutcome Period may experience Outcomes very different from those soughtby the Fund for the Outcome Period. To achieve the Outcomes sought bythe Fund for the Outcome Period, an investor preferably should beholding Shares on the day that the Fund enters into the FLEX Options andon the day those FLEX Options expire. During the Outcome Period, boththe Cap and buffer are fixed numbers that are calculated based upon theFund's NAV (which is in turn based upon the S&P 500 Price Index). As theOutcome Period transpires and the Fund's NAV changes, an investorpurchasing Shares will likely have a different return potential than theinvestor who purchased Shares at the beginning of the Outcome Period.This is because while the Cap and buffer for the Outcome Period remainconstant, an investor purchasing Shares during the Outcome Period likelypurchased Shares at a price that is different from the Fund's NAV at thecommencement of the Outcome Period.

The value of the underlying FLEX Options on any given day will bereflected in the Fund's NAV. However, due to the way that optionscontracts are valued, during the Outcome Period the value of theunderlying FLEX Options, and thus the Fund's NAV, will not correlateone-to-one with the returns being experienced by the S&P 500 Price Index(for example, if the S&P 500 Price Index has decreased in value by 20%the Fund's NAV will not necessarily have decreased by 5%). The value ofthe FLEX Options depends on the amount of time remaining prior to theirexpiration. Accordingly, the non-correlation between the Fund's NAV andthe S&P 500 Price Index may be more pronounced earlier in the OutcomePeriod.

Cap on Potential Upside Returns

Unlike other investment products, in an exemplary application of themethod and system, the potential returns an investor can receive from aninvestment in the Fund are subject to an upside return cap. This meansthat if the S&P 500 Price Index experiences gains for the Outcome Periodbeyond the Cap, a shareholder will not experience those excess gains.Therefore, regardless of the performance of the S&P 500 Price Index, theCap is the maximum return an investor can achieve from an investment inthe Fund for the Outcome Period. The Cap is set on the first day of theOutcome Period and is, in an example, 8.88% prior to taking into accountany fees or expenses charged to shareholders. When the Fund's annualFund management fee of 0.79%, e.g., of the Fund's average daily netassets is taken into account, the Cap is 8.09%, e.g., The Cap will befurther reduced by any shareholder transaction fees and anyextraordinary expenses incurred by the Fund.

In an exemplary application of the method and system, the Cap willchange for each Outcome Period based upon prevailing market conditionsat the beginning of the Outcome Period.

In an exemplary application of the method and system, the Cap level is aresult of the design of the Fund's principal investment strategy. Inorder to provide the buffer, the Fund purchases a series of put and callFLEX Options. As the purchaser of these FLEX Options, the Fund isobligated to pay a premium to the seller of those FLEX Options. However,the strategy is designed so that any premiums that the Fund is obligatedto pay are offset by premiums it receives in connection with the sellingof FLEX Options. On the first day of the Outcome Period when the Fundenters into its other FLEX Options positions, the portfolio managerswill calculate the amount of premiums that the Fund will owe and willthen go into the market and sell a FLEX Option with terms that entitlethe Fund to receive a premium in an amount equal to the amount that theFund would otherwise owe. The Cap is the strike price of that sold FLEXOption. The strike price is determined based upon prevailing marketconditions at the time the Fund enters into the FLEX Options, mostnotably current interest rate levels, S&P 500 Price Index volatility anddividend yield, and the relationship of put and calls on the underlyingFLEX Options.

Buffer

In an exemplary application of the method and system, the power bufferthat the Fund seeks to provide is only operative against the first 15%(as an example) of S&P 500 Price Index losses for the Outcome Period.After the S&P 500 Price Index has decreased in value by more than, e.g.,15%, the Fund will experience all subsequent losses on a one-to-onebasis. The buffer is provided prior to taking into account annual Fundmanagement fees equal to, e.g., 0.79% of the Fund's daily net assets,transaction fees and any extraordinary expenses incurred by the Fund. Ifan investor is considering purchasing Shares during the Outcome Period,and the Fund has already decreased in value by an amount equal to orgreater than 15%, an investor purchasing Shares at that price will haveincreased gains available prior to reaching the Cap but may not benefitfrom the power buffer that the Fund seeks to offer for the remainder ofthe Outcome Period. Conversely, if an investor is considering purchasingShares during the Outcome Period, and the Fund has already increased invalue, then a shareholder may experience losses prior to gaining theprotection offered by the power buffer. A shareholder that purchasesShares at the beginning of the Outcome Period may lose their entireinvestment. While the Fund seeks to limit losses to 85% for shareholderswho hold Shares for the entire Outcome Period, there is no guarantee itwill successfully do so.

Fund Rebalance

In an exemplary application of the method and system, the Fund is acontinuous investment vehicle. It does not terminate and distribute itsassets at the conclusion of each Outcome Period. On the termination dateof an Outcome Period, the method and system comprise features whereinthe Sub-Adviser will invest in a new set of FLEX Options and anotherOutcome Period will commence.

Purchase and Sale of Shares

In an exemplary application of the method and system, the Fund issuesand redeems Shares at NAV only with authorized participants (“APs”) thathave entered into agreements with the Fund's distributor and only inCreation Units (large blocks of 25,000 Shares) or multiples thereof(“Creation Unit Aggregations”), in exchange for cash. Except whenaggregated in Creation Units, the Shares are not redeemable securitiesof the Fund. For example, processor 108 may be configured to determinewhether a participant is an AP via an authorization protocol. In someembodiments, the authorization protocol includes the use of a securitytoken or comparing the participant to APs stored within, for example,database 106.

Individual Shares may be purchased and sold only on a nationalsecurities exchange through brokers. Shares are listed for trading onthe Exchange and because the Shares will trade at market prices ratherthan NAV, Shares may trade at prices greater than NAV (at a premium), atNAV, or less than NAV (at a discount).

Tax Information

In an exemplary application of the method and system, the Fund'sdistributions will generally be taxable as ordinary income, returns ofcapital or capital gains. A sale of Shares may result in capital gain orloss.

Additional Information about Principal Investment Strategies

In an exemplary application of the method and system, the Fund'sprincipal investment strategy seeks to produce the Outcomes based uponthe performance of the S&P 500 Price Index. By layering both purchasedand written call and put FLEX Options, the Fund seeks to deliverinvestment returns that match those of the S&P 500 Price Index for theOutcome Period if S&P 500 Price Index experiences gains, and bufferedlosses for the Outcome Period if the S&P 500 Price Index experienceslosses. All investment gains are subject to the Cap. Both the Cap andthe buffer are provided prior to taking into account annual Fundmanagement fees equal to, e.g., 0.79% of the Fund's daily net assets,transaction fees and any extraordinary expenses incurred by the Fund.Such expenses will reduce the Cap. There is no guarantee that the Fundwill be successful in its attempt to provide buffered returns.

In general, an option contract is an agreement between a buyer andseller that gives the purchaser of the option the right to buy or sell aparticular asset at a specified future date at an agreed upon price(commonly known as the “strike price”). FLEX Options are exchange-tradedoptions contracts with uniquely customizable terms. Each FLEX Optionthat the Fund enters into references the S&P 500 Price Index and expireson the last day of the Outcome Period. The FLEX Options, however, havevarying strike prices. The layering of these FLEX Options with varyingstrike prices provides the mechanism for producing the Fund's desiredoutcome. The Fund has three main layers of FLEX Options as set forth inFIGS. 5A and 5B.

As illustrated in the example of FIGS. 5A and 5B, the combination ofFLEX Options (a)+(b)+(c)+(d) provide upside participation that matchesthat of the S&P 500 Price Index. At the expiration date, these FLEXOptions realize a value equal to that of the S&P 500 Price Index.

Taken together, in this example, positions (e) and (f) produce the 15%“power buffer,” where position (f) is the top end of the buffer andposition (e) is the bottom end. The payoff at expiration will compensatefor losses experienced by the S&P 500 Price Index (if any), in an amountnot to exceed 15%.

The strike level of the FLEX Option in position (g) produces the Cap andis chosen so that the combined net FLEX Options purchase price in (a)through (g) is approximately equal to the Fund's NAV.

The combination of positions (a) through (g) creates a maximum growthopportunity equal to the return experienced by the S&P 500 Price Indexat expiration, not to exceed the Cap, while providing a 15% buffer fromlosses.

In an exemplary application of the method and system, the Fund's uniquecharacteristics may include the imperative of holding Shares for theentire Outcome Period, the Cap and buffer, and such features may serveto distinguish it from other investment products.

Fund Investments

Principal Investments. In an exemplary application of the method andsystem, the Fund will invest in certain principal investments, asfollows.

FLEX Options

FLEX Options are customized option contracts that trade on an exchangebut provide investors with the ability to customize key contract termslike strike price, style and expiration date while achieving pricediscovery in competitive, transparent auctions markets and avoiding thecounterparty exposure of over-the-counter options positions. Liketraditional exchange-traded options, FLEX Options are guaranteed forsettlement by the OCC, a market clearinghouse that guaranteesperformance by counterparties to certain derivatives contracts.

In an exemplary application of the method and system, the FLEX Optionsin which the Fund will invest are all European style options (optionsthat are exercisable only on the expiration date). The FLEX Options arelisted on the Chicago Board Options Exchange.

In an exemplary application of the method and system, the Fund willpurchase and sell call and put FLEX Options. In general, put optionsgive the holder (i.e., the buyer) the right to sell an asset (or deliverthe cash value of the index, in case of an index put option) and theseller (i.e., the writer) of the put has the obligation to buy the asset(or receive cash value of the index, in case of an index put option) ata certain defined price. Call options give the holder (i.e., the buyer)the right to buy an asset (or receive cash value of the index, in caseof an index call option) and the seller (i.e., the writer) theobligation to sell the asset (or deliver cash value of the index, incase of an index call option) at a certain defined price.

Non-Principal Investments

In an exemplary application of the method and system, the Fund willinvest in certain non-principal investments, as follows.

Cash Equivalents and Short-Term Investments

The Fund may invest in securities with maturities of less than one yearor cash equivalents, or it may hold cash. The percentage of the Fundinvested in such holdings varies and depends on several factors,including market conditions.

Traditional Options Contracts

Options contracts on an index give one party the right to receive ordeliver cash value of the particular index, and another party theobligation to receive or deliver the cash value of that index. Optioncontracts on an individual security such as an ETF give one party theright to buy or sell the particular security, and another party theobligation to sell or buy that same security. Many options areexchange-traded and are available to investors with set or definedcontract terms.

Principal Risks

Each of these investment-related risks identified below are notexhaustive or exclusive, and are provided in connection with theinvention to illustrate factors which may be successfully integratedinto the overall process and methodology of managing Defined OutcomeETFs™, and may be represented in the data and components of embodimentsof the invention.

Active Markets Risk

Although the Shares are listed for trading on the Exchange, there can beno assurance that an active trading market for the Shares will developor be maintained. Shares trade on the Exchange at market prices that maybe below, at or above the Fund's NAV. Securities, including the Shares,are subject to market fluctuations and liquidity constraints that may becaused by such factors as economic, political, or regulatorydevelopments, changes in interest rates, and/or perceived trends insecurities prices.

Authorized Participation Concentration Risk

Only an authorized participant may engage in creation or redemptiontransactions directly with the Fund. The Fund has a limited number ofinstitutions that may act as authorized participants on an agency basis(i.e., on behalf of other market participants). To the extent thatauthorized participants exit the business or are unable to proceed withcreation and/or redemption orders with respect to the Fund and no otherauthorized participant is able to step forward to create or redeemCreation Units, Shares may be more likely to trade at a premium ordiscount to NAV and possibly face trading halts and/or delisting.

Buffered Loss Risk

There can be no guarantee that the Fund will be successful in itsstrategy to buffer against S&P 500 Price Index losses if the S&P 500Price Index decreases over the Outcome Period by 15% or less, in anexample. The Fund's strategy seeks to deliver returns that match the S&P500 Price Index (up to the Cap), while limiting downside losses, ifShares are bought on the day on which the Fund enters into the FLEXOptions and held until those FLEX Options expire at the end of theOutcome Period. In the event an investor purchases Shares after the dateon which the FLEX Options were entered into or sells Shares prior to theexpiration of the FLEX Options, the buffer that the Fund seeks toprovide may not be available.

Cap Change Risk

A new Cap is established at the beginning of each Outcome Period and isdependent on prevailing market conditions. As such, the Cap may rise orfall from one Outcome Period to the next and is unlikely to remain thesame for consecutive Outcome Periods.

Capped Upside Return Risk

In an exemplary application of the method and system, the Fund'sstrategy seeks to provide returns that are subject to the Cap. In theevent that the S&P 500 Price Index has gains in excess of the Cap forthe Outcome Period, the Fund will not participate in those gains beyondthe Cap. The Fund's strategy seeks to deliver returns that match thoseof the S&P 500 Price Index if Shares are bought on the day on which theFund enters into the FLEX Options and held until those FLEX Optionsexpire at the end of the Outcome Period. In the event an investorpurchases Shares after the date on which the FLEX Options were enteredinto and the Fund has risen in value to a level near to the Cap, theremay be little or no ability for that investor to experience aninvestment gain on their Shares.

Cash Transactions Risk

In an exemplary application of the method and system, the Fund intendsto effectuate creations and redemptions for cash, rather than in-kindsecurities. As a result, an investment in the Fund may be lesstax-efficient than an investment in an ETF that effects its creationsand redemption for in-kind securities. Because the Fund will effectredemptions for cash, it may be required to sell portfolio securities inorder to obtain the cash needed to distribute redemption proceeds. Asale of Shares may result in capital gains or losses and may also resultin higher brokerage costs. Consequently, an investment in the Fund maybe less tax-efficient than investments in other ETFs. Moreover, cashtransactions may have to be carried out over several days if thesecurities market is relatively illiquid and may involve considerablebrokerage fees and taxes. These brokerage fees and taxes, which will behigher than if the Fund sold and redeemed its shares principallyin-kind, will be passed on to purchasers and redeemers of Shares in theform of creation and redemption transaction fees. In addition, thesefactors may result in wider spreads between the bid and the offeredprices of Shares than for other ETFs.

Correlation Risk

In an exemplary application of the method and system, the FLEX Optionsheld by the Fund will be exercisable at the strike price only on theirexpiration date. Prior to the expiration date, the value of the FLEXOptions will be determined based upon market quotations or using otherrecognized pricing methods. The value of the FLEX Options prior to theexpiration date may vary because of related factors other than the valueof the S&P 500 Price Index. Factors that may influence the value of theFLEX Options include interest rate changes and implied volatility levelsof the S&P 500 Price Index, among others.

Counterparty Risk

Counterparty risk is the risk an issuer, guarantor or counterparty of asecurity in the Fund is unable or unwilling to meet its obligation onthe security. The OCC acts as guarantor and central counterparty withrespect to the FLEX Options. As a result, the ability of the Fund tomeet its objective depends on the OCC being able to meet itsobligations. In the unlikely event that the OCC becomes insolvent or isotherwise unable to meet its settlement obligations, the Fund couldsuffer significant losses.

FLEX Options Risk

In an exemplary application of the method and system, the Fund willutilize FLEX Options issued and guaranteed for settlement by the OCC.The Fund bears the risk that the OCC will be unable or unwilling toperform its obligations under the FLEX Options contracts. In theunlikely event that the OCC becomes insolvent or is otherwise unable tomeet its settlement obligations, the Fund could suffer significantlosses. Additionally, FLEX Options may be less liquid than certain othersecurities such as standardized options. In less liquid market for theFLEX Options, the Fund may have difficulty closing out certain FLEXOptions positions at desired times and prices. The values of FLEXOptions do not increase or decrease at the same rate as the referenceasset and may vary due to factors other than the price of referenceasset.

Fluctuation of Net Asset Value Risk

In an exemplary application of the method and system, the Fund's Sharestrade on the Exchange at their market price rather than their NAV. Themarket price may be at, above or below the Fund's NAV. Differences inmarket price and NAV may be due, in large part, to the fact that supplyand demand forces at work in the secondary trading market for Shareswill be closely related to, but not identical to, the same forcesinfluencing the prices of the holdings of the Fund trading individuallyor in the aggregate at any point in time. These differences can beespecially pronounced during times of market volatility or stress.During these periods, the demand for Shares may decrease considerablyand cause the market price of Shares to deviate significantly from theFund's NAV.

Investment Objective Risk

Certain circumstances under which the Fund might not achieve itsobjective include, but are not limited, to (i) if the Fund disposes ofFLEX Options, (ii) if the Fund is unable to maintain the proportionalrelationship based on the number of FLEX Options in the Fund'sportfolio, (iii) significant accrual of Fund expenses in connection witheffecting the Fund's principal investment strategy or (iv) adverse taxlaw changes affecting the treatment of FLEX Options.

Limitations of Intraday Indicative Value Risk

In an exemplary application of the method and system, the Exchangeintends to disseminate the approximate per share value of the Fund'spublished basket of portfolio securities every 15 seconds (the “intradayindicative value” or “IIV”). The IIV should not be viewed as a“real-time” update of the NAV per Share because (i) the IIV may not becalculated in the same manner as the NAV, which is computed once a day,generally at the end of the business day, (ii) the calculation of NAVmay be subject to fair valuation at different prices than those used inthe calculations of the IIV, (iii) unlike the calculation of NAV, theIIV does not take into account Fund expenses, and (iv) the IIV is basedon the published basket of portfolio securities and not on the Fund'sactual holdings. The IIV calculations are based on local market pricesand may not reflect events that occur subsequent to the local market'sclose, which could affect premiums and discounts between the IIV and themarket price of the Shares. The Fund, Adviser, Sub-Adviser, and theiraffiliates, are not involved in, or responsible for, any aspect of thecalculation or dissemination of the Fund's IIV, and the Fund, Adviser,Sub-Adviser, and their affiliates, do not make any warranty as to theaccuracy of these calculations.

Referring to FIGS. 7A and 7B, an exemplary diagram in which oneembodiment of a system and method of obtaining intraday inputs is shown.In some embodiments, processor 108 is configured to request current datafiles (e.g., containing or reflecting values 103) in response to a userprompt. The user prompt may be a recognition by processor 108 that auser has accessed tool 112 which may be a real-time interactiveweb-based tool, a web-based Outcome Tool, or an interactive producttable, such as the product table shown in FIG. 10 . In some embodiments,tool 112 updates during predetermined time periods (e.g. from the hoursof 8:45 AM-3:30 PM CT). Values 103 may include one or more of: currentbid price for the Fund, current ask price for the Fund, trade datemarket details for the Fund, and respective index levels (e.g., S&P 500,Russell 2000, MSCI EM levels) from, for example, Index Providers 114.One or more processors 108 are preferably configured to request the mostcurrent information for data values 103 from data sources 102. Processor108 may be configured to communicate with tool 112 via data network 116.The most current information for data values 103 may be stored indatabase 106 and any previously captured market data values 103 fromearlier in the day may be purged and/or stored in a separatelyretrievable database. The data from data sources 102 may be 15-20minutes delayed market data.

In some embodiments, tool 112 is a graphical user interface (GUI). Sucha GUI may include an indication of various values relating to the Fund.Tool 112 may be rendered on a user interface of an electronic device andmay be animated. For example, tool 112 may be a pricing tool used todisplay pricing information associated with the Fund. Tool 112 may bedynamic and interactive to allow a user to alter and manipulate thevalues displayed on tool 112. Tool 112 may be a pricing tool, an outcometool, an outcome analyzer, or other interactive GUI for displayinginformation to a user. In some embodiments, tool 112 displays outcomevalues associated with the Fund via a pop-up screen on the display ofthe user interface, as reflected in FIG. 8 . The pop-up screen may beinteractive and may show pricing information related to the Fundthroughout a predetermined period of time.

In some embodiments, tool 112 may dynamically provide informationrelated to the Fund including, for example: Fund Return, Index Return,Return Difference, Index Return to Cap, Remaining Cap, Remaining Buffer,Downside Before Buffer, Remaining Outcome Period, and more. In someembodiments, tool 112 may updated/refreshed or change based on thelocation of a user's cursor and/or indicator on the user interface. Theuser interface may be communicatively coupled to data network 116 and/orprocessor 108. In some embodiments, the user interface displays website110, which may house tool 112 and may be accessed via data network 116.In some embodiments, as fund data is updated dynamically through datanetwork 116 tool 112 is configured to display to a user updated buffervalues (e.g., a value of potential exposure to a user that reflects adifferent potential loss to the user at a particular time than thatwhich the user might if the user were to have purchased securitiesreflecting the index). In some embodiments, as fund data is updateddynamically through data network 116 tool 112 is configured to displayto a user updated cap values (e.g., a value of potential gain to a userthat reflects a different potential gain to the user at a particulartime than that which the user might experience if the user were to havepurchased securities reflecting the index).

Liquidity Risk

In the event that trading in the underlying FLEX Options is limited orabsent, the value of the Fund's FLEX Options may decrease. There is noguarantee that a liquid secondary trading market will exist for the FLEXOptions. The trading in FLEX Options may be less deep and liquid thanthe market for certain other securities. FLEX Options may be less liquidthan certain non-customized options. In a less liquid market for theFLEX Options, terminating the FLEX Options may require the payment of apremium or acceptance of a discounted price and may take longer tocomplete. In a less liquid market for the FLEX Options, the liquidationof a large number of options may more significantly impact the price.

Management Risk

The Fund is subject to management risk because it is an actively managedportfolio. In an exemplary application of the method and system, theSub-Adviser will apply investment techniques and risk analyses in makinginvestment decisions for the Fund, but there can be no guarantee thatthe Fund will meet its investment objective.

Market Maker Risk

If the Fund has lower average daily trading volumes, it may rely on asmall number of third-party market makers to provide a market for thepurchase and sale of Shares. Any trading halt or other problem relatingto the trading activity of these market makers could result in adramatic change in the spread between the Fund's NAV and the price atwhich the Shares are trading on the Exchange, which could result in adecrease in value of the Shares. In addition, decisions by market makersor authorized participants to reduce their role or step away from theseactivities in times of market stress could inhibit the effectiveness ofthe arbitrage process in maintaining the relationship between theunderlying values of the Fund's portfolio securities and the Fund'smarket price. This reduced effectiveness could result in Shares tradingat a discount to NAV and also in greater than normal intra-day bid-askspreads for Shares.

Market Risk

The Fund could lose money over short periods due to short-term marketmovements and over longer periods during more prolonged marketdownturns. Assets may decline in value due to factors affectingfinancial markets generally or particular asset classes or industriesrepresented in the markets. The value of a FLEX Options or other assetmay also decline due to general market conditions, economic trends orevents that are not specifically related to the issuer of the securityor other asset, or due to factors that affect a particular issuer orissuers, country, group of countries, region, market, industry, group ofindustries, sector or asset class. During a general market downturn,multiple asset classes may be negatively affected. Changes in marketconditions and interest rates will not have the same impact on all typesof securities.

Non-Diversification Risk

In an exemplary application of the method and system, the Fund is of thetype classified as “non-diversified” under the 1940 Act. As a result,the Fund is only limited as to the percentage of its assets which may beinvested in the securities of any one issuer by the diversificationrequirements imposed by the Internal Revenue Code of 1986, as amended(the “Code”). The Fund may invest a relatively high percentage of itsassets in a limited number of issuers. As a result, the Fund may be moresusceptible to a single adverse economic or regulatory occurrenceaffecting one or more of these issuers, experience increased volatilityand be highly invested in certain issuers.

Operational Risk

The Fund is exposed to operational risks arising from a number offactors, including, but not limited to, human error in the calculationof the Cap, processing and communication errors, errors of the Fund'sservice providers, counterparties or other third-parties, failed orinadequate processes and technology or systems failures. The Fund andits investment adviser and Sub-adviser seek to reduce these operationalrisks through controls and procedures. However, these measures do notaddress every possible risk and may be inadequate to address theserisks.

Options Risk

In an exemplary application of the method and system, the value of theunderlying FLEX Options will be affected by, among others, changes inthe value of the S&P 500 Price Index, changes in interest rates, changesin the actual and implied volatility, as well as in dividend yields, ofthe S&P 500 Price Index and the remaining time to until the FLEX Optionsexpire. The value of the FLEX Options does not increase or decrease atthe same rate as the level of the S&P 500 Price Index (although theygenerally move in the same direction). However, as a FLEX Optionapproaches its expiration date, its value typically increasingly moveswith the value of the S&P 500 Price Index. The Fund may experiencesubstantial downside from specific FLEX Option positions and certainFLEX Option positions may expire worthless.

Outcome Period Risk

In an exemplary application of the method and system, the Fund'sinvestment strategy is designed to deliver returns that match the S&P500 Price Index if Shares are bought on the day on which the Fund entersinto the FLEX Options and held until those FLEX Options expire at theend of the Outcome Period. In the event an investor purchases Sharesafter the date on which the FLEX Options were entered into or sellsShares prior to the expiration of the FLEX Options, the returns realizedby the investor will not match those that the Fund seeks to achieve.

Tax Risk

In an exemplary application of the method and system, the Fund isintended to elect and to qualify each year to be treated as a RIC underSubchapter M of the Code. As a RIC, the Fund will not be subject to U.S.federal income tax on the portion of its net investment income and netcapital gain that it distributes to shareholders, provided that itsatisfies certain requirements of the Code, including a requirement thatthe “issuers” of the Fund's assets be sufficiently diversified. There isno published IRS guidance or case law on how to determine the “issuer”of certain derivatives that the Fund will enter into. Therefore, thereis a risk that the Fund will not meet the Code's diversificationrequirements and will not qualify, or will be disqualified, as a RIC.The Fund intends to treat FLEX Options referencing an index as “issued”by the issuer of the securities underlying the index. This, in turn,would allow the Fund to count the FLEX Options as automaticallydiversified investments under the Code's diversification requirements.This position is consistent with informal guidance from the IRS but hasnot be confirmed by published guidance or case law. If the FLEX Optionsare not treated as issued by the issuer of the securities underlying theindex for diversification test purposes, there is a risk that the Fundcould lose its RIC status.

The Fund's investments in offsetting positions with respect to the S&P500 Price Index may affect the character of gains or losses realized bythe Fund under the Code's “straddle” rules and may increase the amountof short-term capital gain realized by the Fund. Such short-term capitalgain is taxed as ordinary income when distributed to U.S. shareholdersin a non-liquidating distribution. As a result, if the Fund makes anon-liquidating distribution of its short-term capital gain, the amountwhich may be distributed to U.S. shareholders as ordinary income may beincreased substantially as compared to a Fund that did not engage insuch transactions. Accordingly, Shareholders could have a lowerafter-tax return from investing in the Fund than investing directly inthe S&P 500 Price Index.

If the Fund did not qualify as a RIC for any taxable year and certainrelief provisions were not available, the Fund's taxable income would besubject to tax at the Fund level and to a further tax at the shareholderlevel when such income is distributed. In such event, in order tore-qualify for taxation as a RIC, the Fund might be required torecognize unrealized gains, pay substantial taxes and interest and makecertain distributions. This would cause investors to incur higher taxliabilities than they otherwise would have incurred and would have anegative impact on Fund returns. In such event, the Fund may reorganize,close or materially change its investment objective and strategies.

In an exemplary application of the method and system, the FLEX Optionsincluded in the Fund's portfolio are exchange-traded options. UnderSection 1256 of the Code, certain types of exchange-traded options aretreated as if they were sold (i.e., “marked to market”) at the end ofeach year. Gain or loss is recognized on this deemed sale. Suchtreatment could cause the Fund to recognize taxable income withoutreceiving cash. In order to maintain its RIC qualification, the Fund maydistribute at least 90% of its income annually. If the FLEX Options aresubject to Section 1256 of the Code, and the Fund is unable todistribute marked-to-market gains to its shareholders, the Fund may loseits RIC qualification and be taxed as a regular corporation.

Trading Issues Risk

Although the Shares are listed for trading on the Exchange, there can beno assurance that an active trading market for such Shares will developor be maintained. Trading in Shares on the Exchange may be halted due tomarket conditions or for reasons that, in the view of the Exchange, maketrading in Shares inadvisable. In addition, trading in Shares on theExchange is subject to trading halts caused by extraordinary marketvolatility pursuant to the Exchange “circuit breaker” rules. Marketmakers are under no obligation to make a market in the Shares, andauthorized participants are not obligated to submit purchase orredemption orders for Creation Units. There can be no assurance that therequirements of the Exchange necessary to maintain the listing of theFund will continue to be met or will remain unchanged. Initially, due tothe small asset size of the Fund, it may have difficulty maintaining itslistings on the Exchange.

Upside Participation Risk

There can be no guarantee that the Fund will be successful in itsstrategy to provide shareholders with a total return that matches theincrease of the S&P 500 Price Index over the Outcome Period, up to themaximum return imposed by the Cap. In the event an investor purchasesShares after the date on which the FLEX Options were entered into ordoes not stay invested in the Fund for the entirety of the OutcomePeriod, the returns realized by the investor may not match those thatthe Fund seeks to achieve.

Valuation Risk

During periods of reduced market liquidity or in the absence of readilyavailable market quotations for the holdings of the Fund, the ability ofthe Fund to value the FLEX Options becomes more difficult and thejudgment of the Fund's investment adviser (employing the fair valueprocedures adopted by the Board of Trustees of the Trust) may play agreater role in the valuation of the Fund's holdings due to reducedavailability of reliable objective pricing data. Consequently, whilesuch determinations may be made in good faith, it may nevertheless bemore difficult for the Fund to accurately assign a daily value.

Management of the Fund

In an exemplary application of the method and system, the Fund and itsadvisor have received an exemptive order from the SEC to operate under amanager of managers structure that permits the Adviser, with theapproval of the Board, to appoint and replace sub-advisers, enter intosub-advisory agreements, and materially amend and terminate sub-advisoryagreements on behalf of the Fund without shareholder approval (“Managerof Managers Structure”). Under the Manager of Managers Structure, theAdviser has ultimate responsibility, subject to oversight by the Board,for overseeing the Fund's sub-advisers and recommending to the Boardtheir hiring, termination, or replacement. The SEC order does not applyto any sub-adviser that is affiliated with the Fund or the Adviser.

In an exemplary application of the method and system, the Manager ofManagers Structure may enable the Fund to operate with greaterefficiency and without incurring the expense and delays associated withobtaining shareholder approvals for matters relating to the sub-advisor.The Manager of Managers Structure does not permit an increase in theadvisory fees payable by the Fund without shareholder approval.

In an exemplary application of the method and system, the Fund willissue or redeems its Shares at NAV per Share only in Creation Units.Most investors will buy and sell Shares in secondary market transactionsthrough brokers. Shares will be listed for trading on the secondarymarket on the Exchange. Shares can be bought and sold throughout thetrading day like other publicly traded shares. Share prices are reportedin dollars and cents per Share. There is no minimum investment. Whenbuying or selling Shares through a broker, an investor will incurcustomary brokerage commissions and charges, and an investor may paysome or all of the spread between the bid and the offered price in thesecondary market on each leg of a round trip (purchase and sale)transaction. Because Shares trade at market price rather than NAV, aninvestor may pay more than NAV when purchasing Shares and receive lessthan NAV when selling Shares.

APs may acquire Shares directly from the Fund, and APs may tender theirShares for redemption directly to the Fund, at NAV per Share only inCreation Units or Creation Unit Aggregations, and in accordance with theprocedures described in the SAI.

Book Entry

In an exemplary application of the method and system, Shares are held inbook-entry form, which means that no stock certificates are issued. TheDepository Trust Company (“DTC”) or its nominee is the record owner ofall outstanding Shares and is recognized as the owner of all Shares forall purposes. In some embodiments, a digital book may be maintainedwithin in database 106. Processor 108 may be configured to write to abook stored within database 106. In some embodiments, specialauthorization is required and granted by processor 108 to store and/oraccess the digital book within database 106.

Investors owning Shares are beneficial owners as shown on the records ofDTC or its participants. DTC serves as the securities depository for allShares. Participants in DTC include securities brokers and dealers,banks, trust companies, clearing corporations and other institutionsthat directly or indirectly maintain a custodial relationship with DTC.As a beneficial owner of Shares, investors are not entitled to receivephysical delivery of stock certificates or to have Shares registered inthe investor's name, and the investor is not considered a registeredowner of Shares. Therefore, to exercise any right as an owner of Shares,the investor may rely upon the procedures of DTC and its participants.These procedures are the same as those that apply to any other stocksthat an investor may hold in book entry or “street name” form.

Share Trading Prices

In an exemplary application of the method and system, the trading pricesof Shares on the Exchange may differ from the Fund's daily NAV. Marketforces of supply and demand, economic conditions and other factors mayaffect the trading prices of Shares.

The approximate value of Shares, an amount representing on a per Sharebasis the sum of the current market price of the securities held by theFund, will be disseminated every 15 seconds throughout the trading daythrough the facilities of the Consolidated Tape Association. Thisapproximate value should not be viewed as a “real-time” update of theNAV per Share of the Fund because the approximate value may not becalculated in the same manner as the NAV, which is computed once a day,generally at the end of the business day.

Frequent Purchases and Redemption of Shares

In an exemplary application of the method and system, Shares may bepurchased and redeemed directly from the Fund only in Creation Units byAPs that have entered into agreements with the Fund's distributor. Thevast majority of trading in Shares occurs on the secondary market anddoes not involve the Fund directly. Cash trades on the secondary marketare unlikely to cause many of the harmful effects of frequent purchasesand/or redemptions of Shares. Cash purchases and/or redemptions ofCreation Units, however, can result in disruption of portfoliomanagement, dilution to the Fund and increased transaction costs, whichcould negatively impact the Fund's ability to achieve its investmentobjectives, and may lead to the realization of capital gains. Theseconsequences may increase as the frequency of cash purchases andredemptions of Creation Units by APs increases. However, direct tradingby APs is critical to ensuring that Shares trade at or close to NAV.

To minimize these potential consequences of frequent purchases andredemptions of Shares, the Fund imposes transaction fees on purchasesand redemptions of Creation Units to cover the custodial and other coststhe Fund incurs in effecting trades. In addition, the Fund reserves theright to not accept orders from APs that the fund operator hasdetermined may be disruptive to the management of the Fund or otherwiseare not in the best interests of the Fund. For these reasons, the Boardhas not adopted policies and procedures with respect to frequentpurchases and redemptions of Shares.

Dividends, Distributions and Taxes

In an exemplary application of the method and system, dividends from netinvestment income, if any, are ordinarily declared and paid at leastannually by the Fund. The Fund distributes its net realized capitalgains, if any, to shareholders annually.

Distributions in cash may be reinvested automatically in additionalwhole Shares only if the broker through whom an investor purchasedShares makes such option available.

Net Asset Value

In an exemplary application of the method and system, the Fund's NAV isdetermined as of the close of trading (normally 4:00 p.m., Eastern time)on each day the New York Stock Exchange is open for business. NAV iscalculated for the Fund by taking the market price of the Fund's totalassets, including interest or dividends accrued but not yet collected,less all liabilities, and dividing such amount by the total number ofShares outstanding. The result, rounded to the nearest cent, is the NAVper Share. All valuations are subject to review by the Board or itsdelegate.

The Fund's investments are valued daily in accordance with valuationprocedures adopted by the Board, and in accordance with provisions ofthe 1940 Act. Although it has no current intention of investing in suchsecurities, certain securities in which the Fund may invest are notlisted on any securities exchange or board of trade. Such securities aretypically bought and sold by institutional investors in individuallynegotiated private transactions that function in many respects like anover the counter secondary market, although typically no formal marketmakers exist. Certain securities, particularly debt securities, have fewor no trades, or trade infrequently, and information regarding aspecific security may not be widely available or may be incomplete.Accordingly, determinations of the fair value of debt securities may bebased on infrequent and dated information. Because there is lessreliable, objective data available, elements of judgment may play agreater role in valuation of debt securities than for other types ofsecurities. Typically, debt securities are valued using informationprovided by a third-party pricing service. The third-party pricingservice primarily uses broker quotes to value the securities.

The Fund's investments will be valued daily at market value or, in theabsence of market value with respect to any investment, at fair value inaccordance with valuation procedures adopted by the Board and inaccordance with the 1940 Act. Market value prices represent last sale orofficial closing prices from a national or foreign exchange (i.e., aregulated market) and are primarily obtained from third-party pricingservices.

Although it has no current intention of investing in such securities,certain securities in which the Fund may invest may not be able to bepriced by pre-established pricing methods. Such securities may be valuedby the Board or its delegate at fair value. The use of fair valuepricing by the Fund is governed by valuation procedures adopted by theBoard and in accordance with the provisions of the 1940 Act. Thesesecurities generally include, but are not limited to, certain restrictedsecurities (securities which may not be publicly sold withoutregistration under the Securities Act of 1933, as amended (the“Securities Act”)) for which a pricing service is unable to provide amarket price; securities whose trading has been formally suspended; asecurity whose market price is not available from a pre-establishedpricing source; a security with respect to which an event has occurredthat is likely to materially affect the value of the security after themarket has closed but before the calculation of the Fund's NAV or makeit difficult or impossible to obtain a reliable market quotation; and asecurity whose price, as provided by the pricing service, does notreflect the security's “fair value.” As a general principle, the current“fair value” of a security would appear to be the amount which the ownermight reasonably expect to receive for the security upon its currentsale. The use of fair value prices by the Fund generally results in theprices used by the Fund that may differ from current market quotationsor official closing prices on the applicable exchange. A variety offactors may be considered in determining the fair value of suchsecurities. Valuing the Fund's securities using fair value pricing willresult in using prices for those securities that may differ from currentmarket valuations.

Even when market quotations are available for portfolio securities, theymay be stale or unreliable because the security is not tradedfrequently, trading on the security ceased before the close of thetrading market or issuer-specific events occurred after the securityceased trading or because of the passage of time between the close ofthe market on which the security trades and the close of the Exchangeand when the Fund calculates its NAV. Events that may cause the lastmarket quotation to be unreliable include a merger or insolvency, eventswhich affect a geographical area or an industry segment, such aspolitical events or natural disasters, or market events, such as asignificant movement in the U.S. market. Where market quotations are notreadily available, including where the fund operator determines that theclosing price of the security is unreliable, the fund operator willvalue the security at fair value in good faith using procedures approvedby the Board. Fair value pricing involves subjective judgments and it ispossible that a fair value determination for a security is materiallydifferent than the value that could be realized upon the sale of thesecurity.

Premium/Discount Information

The market prices of the Shares generally will fluctuate in accordancewith changes in NAV, as well as the relative supply of and demand forShares on the Exchange. The operators of the Fund cannot predict whetherthe Shares will trade below, at or above their NAV. The approximatevalue of the Shares, which is an amount representing on a per Sharebasis the sum of the current market price of the securities held by theFund, will be disseminated every 15 seconds throughout the trading daythrough the facilities of the Consolidated Tape Association. Thisapproximate value should not be viewed as a “real-time” update of theNAV per Share of the Fund because the approximate value may not becalculated in the same manner as the NAV, which is computed once a day,generally at the end of the business day. Similar to the NAV for eachETF, premium/discount data is generated and displayed on the Applicant'sweb site pursuant to the embodiments of the invention described herein.

Investments by Other Investment Companies

Section 12(d)(1) of the 1940 Act restricts investments by investmentcompanies in the securities of other investment companies, includingShares. Registered investment companies are permitted to invest in theFund beyond the limits set forth in Section 12(d)(1) subject to certainterms and conditions set forth in an SEC exemptive order issued to theTrust, including that such investment companies enter into an agreementwith the Trust on behalf of the Fund prior to exceeding the limitsimposed by Section 12(d)(1).

Financial Highlights

The financial highlights table shown in FIG. 6 presents an example offinancial performance of a Fund operating in an exemplary application ofthe method and system. The total returns in the table of FIG. 6represent how much an investor would have earned (or lost) on aninvestment in the Fund (assuming reinvestment of all dividends anddistributions). Certain information reflects financial results for asingle Fund Share.

Inclusive of Options on Alternative Indexes. In one embodiment, themodel and methodology of the invention utilizes the exclusive featuresof the preferred embodiment, and also provides for using FLEX Option onvarious underlying indexes other than the S&P 500, such as the MSCIEAFE, Nasdaq 100, or Russell 2000. While this application and thereferences within identify the FLEX Options based on the S&P 500 Indexas the core feature to the preferred embodiment of the invention, it isunderstood that the use of similar FLEX Options based on other indexesin connection with the model and methodology is a key aspect of theinvention

Inclusive of Varying Levels of Investment “Buffer” or “Floor”Protection. In one embodiment, the model and methodology of theinvention utilizes the exclusive features of the preferred embodiment,and also provides for Funds with varying levels of “buffer” protectionbeyond the current aspects of the innovation of (i) −9%, (ii) −15% and(iii) −5% to −35% as a key aspect of the invention, or a model whichprovides a “floor” protection—that is, protection from downsideinvestment performance after an initial amount which would be absorbedby the investor (e.g., the ETF would protect against losses after thefirst 5%)

Inclusive of Target Durations Longer or Shorter than Twelve Months. Inone embodiment, the model and methodology of the invention utilizes theexclusive features of the preferred embodiment, yet unlike the preferredembodiment a Fund may have a stated Outcome Period of greater than orless than twelve months as a key aspect of the invention.

Inclusive of Uncapped Return Profiles for the Model. In one embodiment,the model and methodology of the invention utilizes the exclusivefeatures of the preferred embodiment, yet also offer an investor a Fundwith no capped upside participation in market growth as a key aspect ofthe invention.

Inclusive of Dividend and Income Return Profiles for the Model. In oneembodiment, the model and methodology of the invention utilizes theexclusive features of the preferred embodiment, yet also offers a Fundwhich incorporates the opportunity for investor participation individend and income generated from investment in the Fund as a keyaspect of the invention.

Inclusive of “Asymmetrical” Return Profiles for the Model. In oneembodiment, the model and methodology of the invention utilizes theexclusive features of the preferred embodiment, yet through a Fundprovide “asymmetrical” or “enhanced” returns (e.g., measure of potentialupside performance participation relative to potential downsideperformance is not matched 1:1, with or without a cap or buffer) as akey aspect of the invention. An exemplary embodiment of such a returnprofile of the invention could include a Fund with an investmentstrategy that could provide a positive return whether the underlyingreference benchmark index produces a positive or negative return overthat similar outcome period.

For each of these embodiments of the model and methodologies of theinvention described above, key features may not be otherwise availableto investors of ETFs seeking to receive defined outcomes in an ETFvehicle. ETF investors may therefore take advantage not just of theunique outcomes of the invention, but also to provide options aroundthat investment solution in these alternative embodiments.

A preferred embodiment of the invention is a computer based method orprocess for creating, administering, and trading an ETF having a definedoutcome feature, in accord with the description above. The method maypreferably comprise storing computer executable instructions in a memoryelement of a computer; and, executing, using a processor for thecomputer, the computer readable instructions to create, administer, andtrade an ETF having a defined outcome feature, in accord with thedescription above.

Another preferred embodiment of the invention is a computer system forcreating, administering, and trading an ETF having a defined outcomefeature, in accord with the description above.

Another preferred embodiment of the invention is a non-transitorycomputer readable medium having stored thereon instruction, which ifexecuted by a processor, cause the processor to create and administer anETF having a defined outcome feature, in accord with the descriptionabove.

Another preferred embodiment of the invention is a computer-implementedapparatus that is employed in creating, administering, and trading anETF having a defined outcome feature, in accord with the descriptionabove.

Another preferred embodiment of the invention is a computerizedapparatus that is employed in quantifying metrics for creating,administering, and trading an ETF having a defined outcome feature, inaccord with the description above.

Many aspects of this disclosure are described in terms of sequences ofactions or steps to be performed in a method or process, or by elementsof a system. Elements of a system may include modules, a controller, aprocessor, a memory, and/or a computer system or other hardware capableof executing programmed instructions. Those of skill in the art willrecognize that these elements can be embodied in a controller of asystem, either as a controller as a unit or module of a system, or as aunit separate from, and communicating with, the system. It will berecognized that in each of the embodiments, the various actions forimplementing the strategy disclosed herein could be performed byspecialized circuits (e.g., discrete logic gates interconnected toperform a specialized function), by application-specific integratedcircuits (ASICs), by program instructions (e.g. program modules)executed by one or more processors (e.g., a central processing unit(CPU) or microprocessor or a number of the same), or by a combination ofcircuits, instructions, and processors, any or all of which can beimplemented in a hardware and/or software of the ECU and/or othercontroller or plural controllers.

Logic of embodiments consistent with the disclosure can be implementedwith any type of appropriate hardware and/or software, with portionsresiding in the form of computer readable storage medium with a controlalgorithm recorded thereon such as the executable logic and instructionsdisclosed herein. The hardware or software may be in single componentsor distributed among discrete components operatively connected forcommunication. The hardware or software can be programmed to include oneor more singular or multidimensional lookup tables and/or calibrationparameters. The computer readable medium can comprise a random accessmemory (RAM), a read-only memory (ROM), an erasable programmableread-only memory (EPROM or Flash memory), an optical fiber, a portablecompact disc read-only memory (CD-ROM), or any other solid-state,magnetic, and/or optical disk medium capable of storing information.Thus, various aspects can be embodied in many different forms, and allsuch forms are contemplated to be consistent with this disclosure.

In some embodiment, to provide investors and potential investors withthe necessary real-time data to assist in investment decisions regardingthe embodiment the Fund, the present invention provides atechnology-driven process for retrieving source data, recalculate anddisseminate the data, and design interface functionality of thereformatted data for third party use such as public use by persons notassociated the provider of the Fund, including investors, investmentadvisers, and/or marketplace participants.

In some embodiments, tool 112 may include a web-based interactive tool,sometimes identified as the web-based “Pricing Tool”. In the embodimentreflected in FIGS. 7A and 7B, the initial data source feed for tool 112is the national stock exchange on which a particular Fund iscontinuously trading, such as the New York Stock Exchange or the CboeBATS. That fund and market data from an exchange is then delivered in atleast one of two ways. First, the exchange source data is first sent,via processor 108, to a custodian/fund administrator, e.g., US BankFinancial Services LLC, which then bundles and sends a full data file todata aggregation system 104 following the end of a trading day. Second,the exchange source data is also delivered “live” intraday via anintermediate third party as part of a proprietary data coding andreal-time delivery feed process.

In some embodiments, data aggregation system 104 may pull datavalues/file 103 from data sources 102. In some embodiments, data fromdata source 102 is in a flat, comma-separated file (CSV) format. Thedata from data source 102 may be read, line by line, with the header rowomitted, using data aggregation system 104. Data aggregation system 104may load the data into database 106, until an end of file flag is read.In some embodiments, the data from data aggregation system 104 is notmanipulated when inputted into database 106.

In one embodiment, data sources 102 include a US Bank's FTP, thatcontain each fund's official end of day NAV, Shares Outstanding,Midpoint, SEC 30 Day Yield, and 30 Day Median Bid-Ask Spread.Preferably, data aggregation system 104 may aggregate all the datavalues 103 from data sources 102 and store the data values 103 in theweb server's database 106. In one embodiment, database 106 is configuredto pull data file 103 at approximately the same time on a daily basis(e.g., days that the markets are open).

In some embodiments, at the close of business, the last trade prices ofdata values 103 are acquired from data sources 102 for all ETFsassociated with the Fund. The last trade prices of data values 103 maybe stored and archived in the web server's database 106.

In some embodiments, the proprietary coding of the invention isconfigured to for at least one of: i) selecting several data valuefactors from data file 103, ii) recalculating the value factors, iii)incorporating additional or separate data values into the selected valuefactors. For example, the proprietary coding is configured for (i)selecting or suppressing one or more data value factors from data file103 (e.g., 2 of 16 data values may be suppressed) and/or (ii)aggregating and/or recalculating the selected data value factors withadditional data values, which are separately stored data on database106, the outcome of which may also be stored on database 106. In someembodiments, processor 108 is configured to upload the recalculatedvalue factors for each investment fund associated with the Fund to datanetwork 116, where tool 112 may pull the product data. In someembodiments, product data tool 112 is a web-based tool 112 that displaysone or more of NAVs, Shares Out, AUM, Midpoint and premium/discountcalculations on the respective funds' overview pages, such as shown inFIG. 10B. In some embodiments, data network 116 includes website 110,which may host tool 112. Website 110 may be configured to make calls toprocessor 108 to request information from data aggregation system 104.

In some embodiments, data conversion and parsing occurs betweenprocessor 108 and web site 110 and/or data network 116. When a userrequest is identified website 110 (e.g., in response to a user accessingtool 112), a request to processor 108 invoked. Website 110 and/or datanetwork 116 may pass key fund identifiers to processor 108 such as oneor more of: fund ticker, starting price, starting cap, outcome periodstarting date, and outcome period ending date. Website 110 and/or datanetwork 116 may then invoke processor, 108, to execute a storedprocedure, returning a dataset of text and decimals (the decimals areformatted as varchars in the result set). In some embodiment, theresulting text does not need to be reformatted, and contains basic fundinformation including one or more of ticker, index name, fund name,monthly series, index ticker, index name, and buffer type (B, P, U—e.g.9%, 15%, 30%). The non-text figures returned may be inherently returnedas a database varchar format instead of decimals. In some embodiments,processor 108 is configured to match the parameters received, asmentioned above, with the most recent market data (fund market price,index level), and processes the defined outcome parameters. In someembodiments, processor 108 is configured to interpret this databaseresult set and converts the values returned on the fly by website 110and/or data network 116 when the data request is made. The valuesreturned by processor 108 to website 110 and/or data network 116 mayinclude one or more of fund return, index return, remaining fund caps(current and net of all fees), remaining buffer (current and net of allfees), downside before buffer (current and net of all fees), andremaining outcome period. In some embodiments, website 110 and/or datanetwork 116 converts this data from a varchar format to decimal andfloat data types so data formatting can be performed. Processor 108 maybe configured to calculate the necessary values and format the data backto strings/varchars for display on website 110, with the appropriatedecimal places and data formatting being applied.

As noted above, in some embodiments, tool 112 is populated with“real-time” data for public use. Such an embodiment may provide forbuilding data methodology, which is a material enhancement above thefunctionality of end of day data displays. For example, an investor inthe Fund may purchase shares of the Fund intraday, as the price of theFund fluctuates (along with the share prices of the public securitiesheld by the Fund). It is understood that the investor would recognizethat the data values of the Fund at the end of the prior trading daywould not be providing the investor as accurate a reflection of whattheir purchasing experience—or investment profile—might look like asthey purchase the shares of the Fund. The present invention, through,for example, tool 112, may deliver to the user interface more granularand current data values.

In some embodiments, for a user using tool 112, a user may activate theinteractive feature either by clicking on a function on tool 112 orscrolling their cursor over a specific display feature, which generatesa pop-up dialogue box with data values. Whenever the user interfaceinitiates a data function on tool 112, tool 112 may automaticallygenerate a data “pull” from data sources 102. Data sources 102 may havea direct contractual arrangement with the exchanges to pull certainmarket and trading data relative to the Fund trading on that exchangethroughout the trading day. While data sources 102 receive data directlyfrom the exchanges, data sources 102 may place a rolling 15-minuterelease delay when such data is requested by data aggregation system 104throughout the day.

In some embodiments, for both tool 112 and the display of real-timepricing the website via a display of the user interface configured todisplay tool 112, every time a user goes to the Product Table page, anexample show in FIG. 10 , during a predetermined time, their interfacingresults in a requesting “pull” for “real-time” pricing bids and asks forinformation relating to the Fund and respective underlying referenceindexes from data sources 102 via vendors APIs (application programmerinterface) associated with data sources 102 and, asking the API for arange of certain statistical data from the vendor about that ETF andtheir respective current index levels, such as, one or more of, a listof tickers, bids, asks, volumes, and a ISP timestamp.

In some embodiments, while the user does not see or experience thisprocess directly, behind the design of the functional delivery of valuesvia tool 112 requires the integration of multiple data sources 102, andprocessor 108 may be configured to pull, save, recalculate, and deliverto tool 112 on the website for ongoing, real-time use by the public.

In some embodiments, once the web server's database 106 gets the datafrom data sources 102 via data aggregation system 104, processor 108 isconfigured to receive all the fund market data, and performs thenecessary calculations (remaining cap, remaining buffer, etc.) anddisplays the data via tool 112. In some embodiments, processor 108 isconfigured to “sweep” and save to database 106 for historic End of DayNAVs for each of the ETFs, as well as the most recently midpoint for theDO ETFs. In some embodiments, during a predetermined time, such asbetween 8:45 and 3:30 pm, every time a user visits tool 112, processor108 is configured to update each Fund's/ETFs most recent data. In someembodiment, tool 112 relies on both the historical EOD data (list ofhistorical NAVs and historic index levels), in addition to the mostrecent midpoints and index levels.

In some embodiments, during a predetermined period of time, e.g. fromthe hours between 8:45 AM and 3:30 PM CT, a user may visit a web pagehosted by data network 116, which may show specific Defined Outcomevalues via tool 112. In some embodiments, the predetermined period oftime may refer to specific periods of time during the day when marketsare open or closed. For example, the predetermined period of time may bebetween 8:45 AM and 3:30 PM CT, which reflects a period of time on abusiness day where the relevant US stock exchanges are open and activelytrading. Data values disseminated from an exchange may not be availableto the Fund for use until approximately 15 minutes after trading on theexchange has started, such as 15 minutes after 8:30 AM CT. Data network116 may make a behind-the-scenes request to data sources to acquire themost recent market data values 103 (see “Intraday Inputs” above).Processor 108 may be configured to store the most recent market datavalues 103 in database 106, and a series of programming controls may usevarious methods to compute the following fields: Fund Return, IndexReturn, Return Difference, Index Return to Cap, Remaining Cap, RemainingBuffer, Downside Before Buffer, Remaining Outcome Period, and more. TheInputs required for these calculations and their respective sources areshown in Table 1 below, where Company refers to the provider of theFund.

TABLE 1 Input Source Starting Fund Buffer Company (static) Starting FundCap Company (static) Fund Expense Ratio Company (static) Fund MarketPrice Data Sources 102 Index Level Data Sources 102 Fund Outcome PeriodStart & End Date Company (static) Fund EOD NAV Data Sources 102

In some embodiments, use of tool 112 during a predetermined time, suchas between the hours of 3:30 pm CT and 8:45 am CT, may automaticallytoggle, via processor 108, the switch to turn off or “silence” requeststo pull data from data sources 102. For example, if processor 108automatically makes the toggle switch goes to “silent” mode and thestops making data requests data sources 102, for the predeterminedperiod of time, tool 112 may reflect the incorporation of data sources102 as of a specific time, such as the end of that market day (e.g.,3:59 pm). In some embodiments, once data file 103 is received by dataaggregation system at the end of the day (e.g., 7:00 pm), the mostcurrent data factors are replaced with the official US Bank marketclosing data as generated pursuant to the process described above, andwill display this until a specific time, such as 8:45 am CT on the nexttrading day when processor 108 toggles the switch to go to a “live”feed. As a result, tool 112 is “silenced”— which occurs by clicking orscrolling over features on tool 112 after trading hours on a week day,or on a weekend. In some embodiments, this provides the user withinteractive “static” data values based off the “trued-up” US Bank data.

In some embodiments, during a predetermined period of time, e.g. fromthe hours between 3:30 PM and 8:45 AM CT, a user may visit website 110hosted on data network 116. Tool 112 may access data network 116 toprovide the most current stored fund and index market data values 103,which are stored on database 106.

In some embodiment, during the predetermined period of time, e.g. fromthe hours between 3:30 PM and 8:45 AM CT, data network 116 may no longerbe capturing real-time data from data sources 102, since markets areclosed. Once data aggregation system transmit data values 103 from datasources 102 to database 106, which may occur around 7 PM, the mostrecent fund market prices and values 103 are updated with the officialend of day NAV provided by data sources 102.

In some embodiment, during the predetermined period of time, e.g. fromthe hours between 3:30 PM and 8:45 AM CT, data network 116 may no longerbe capturing real-time data from data sources 102, since markets areclosed. Once data aggregation system transmit data values 103 from datasources 102 to database 106, which may occur around 7 PM, the mostrecent fund market prices and data values 103 are updated with theofficial end of day NAV provided by data sources 102

In some embodiment, to build the graph in tool 112, such as the pricingtool shown in FIG. 8 , processors 108 is configured to utilize thehistoric values from data sources 102 and current market data values 103that have been captured by data aggregation system 104 and stored withinthe web server's database 106. By using the inputs in Table 1 above,processor 108 may be configured to generate the following fields forevery day in the fund's outcome period: Fund Return, Index Return,Return Difference, Index Return to Cap, Remaining Cap, Remaining Buffer,Downside Before Buffer, Remaining Outcome Period, and more. In additionto charting the data over the course of the current outcome period,processor 108 may be configured to display, via a user interface,detailed defined outcome parameters in a tooltip pop-up associated withtool 112 for each day.

Referring to FIG. 9 , diagram 10 represents a user is on a web site andaccessing interactive tool 112 in the middle of a trading day, with allthe automated interfaces, calculations, and displays. In someembodiments, diagram 10 may utilize the components detailed in FIGS. 7Aand 7B. In some embodiments, the methods and steps of depicted indiagram 10 utilizes proprietary code.

STEP 1 illustrates that the data process begins with a click or cursortrigger on the web site as a result of the user's activity. In someembodiments, a user may click on tool 112, which is rendered via userinterface.

STEP 2 illustrates the “request” by the user action, and provide noticeto the servers/database, such as database 106.

STEP 3 illustrates servers, for example, database 106, receiving thedata request to refresh the web site data values on website 110, andinitiating an automatic request to the third-party data vendor, such asdata sources 102, for this data request.

STEP 4 illustrates the functionality of an automated data pull from thedata vendor, such as data sources 102, via an API interface, pursuant toan automated protocol.

STEP 5 illustrates that data sources 102 may receive the live marketdata directly from the exchanges, saving it to their own databases and“unlocked” to be made available to their data clients (e.g., dataaggregation system 106) for data pulls on a rolling 15-minute delay.

STEP 6 illustrates that the automated data pull, from the data sources102, delivers data values and factors to a database, such as database106, where it is saved pursuant to an automated code sequence.

STEP 7 illustrates t automatically taking the saved data from the datasources 102, adding additional source data factors, and calculatingupdated and unique values for the data set.

STEP 8 illustrates formatting and delivering critical data andfunctionality of the data pivots on tool 112.

STEP 9 illustrates toggling the data feed request to the data sources102 to the “off switch” at approximately 3:45 pm CT on any given tradingday, thus, subject to any revisions as a result of the end of day valuesfrom US Bank or other data sources 102, holding those data valuesreflected via tool 112 until the morning of the next trading day.

One of skill in the art may appreciate from the foregoing thatunexpected benefits are derived from application of the method, system,and apparatus to the problem of improving ETFs by incorporating adefined outcome feature, without the need for additional steps or systemfeatures. Changes to a system of an embodiment of this invention may addcosts and complexity to the engine system. A key benefit contemplated bythe inventors is improvement via the disclosed system, method, orapparatus, while excluding any additional components, steps, or changein features. Accordingly, the substantial benefits of simplicity as towhich the method and system may be applied may reside in an embodimentof the invention consisting of or consisting essentially of features ofthe method, system, or apparatus disclosed herein. Thus, embodiments ofthe invention contemplate the exclusion of steps, features, elements,and components beyond those set forth herein. The inventors contemplate,in some embodiments, the exclusion of certain steps, features, elements,and components that are set forth in this disclosure even when such areidentified as preferred or preferable.

It is to be understood that the above description is intended to beillustrative, and not restrictive. Many other embodiments will beapparent to those of skill in the art upon reading and understanding theabove description. For example, it is contemplated that featuresdescribed in association with one embodiment are optionally employed inaddition or as an alternative to features described in association withanother embodiment. The scope of the invention should, therefore, bedetermined with reference to the appended claims, along with the fullscope of equivalents to which such claims are entitled.

The invention claimed is:
 1. A computer-based system for displaying, ona user interface, investment outcome alternatives, the systemcomprising: a data aggregation system configured to: automaticallyobtain via at least one exchange data source, during a predeterminedperiod, securities data associated with a security; and aggregate thesecurities data to produce a historical aggregated data value setassociated with values of the security at different times during thepredetermined period including values related to a display date; aprocessor, coupled to the data aggregation system, configured to render,on a user interface during the display date, a dynamic tool to display,based on the historical aggregated data value set, a graphical displayof investment data associated with the security, the graphical displayincluding each of: a graphical representation of a return rate cap for acurrent outcome period, wherein the return rate cap includes one or moreof a remaining return rate cap and an initial return rate cap; agraphical representation of a buffer threshold for a current outcomeperiod, the buffer threshold associated with losses from an investmentin the security, wherein the buffer threshold includes one or more of aremaining buffer threshold and an initial buffer threshold; and outcomedata pertaining to a performance of the security at a selected timeduring a displayed period, of the security, wherein the processor isfurther configured to: automatically update the graphical representationof the return rate cap after an end of the current outcome period. 2.The computer-based system according to claim 1, wherein the processor isfurther configured to: in response to an input via the user interface,update the outcome data on the dynamic tool based on the input.
 3. Thecomputer-based system of claim 1 further comprising: a graphicalrepresentation of the performance of the security over the displayedperiod that terminates prior to an end of the current outcome period;and automatically updating the graphical representation of theperformance of the security on a successive display date, the successivedisplay date occurring after the display date.
 4. A computer-basedmethod for displaying investment outcome, the method comprising:automatically obtaining via at least one exchange data source, during apredetermined period, securities data associated with a security;aggregating the securities data to produce a historical aggregated datavalue set associated with values of the security at different timesduring the predetermined period including values related to a displaydate; and rendering, using a processor on a user interface during thedisplay date, a dynamic tool to display, based on the historicalaggregated data value set, a graphical display of investment dataassociated with the security, the graphical display including each of: agraphical representation of a return rate cap for a current outcomeperiod, wherein the return rate cap includes one or more of a remainingreturn rate cap and an initial return rate cap; a graphicalrepresentation of buffer threshold for a current outcome period, thebuffer threshold associated with losses from an investment in thesecurity, wherein the buffer threshold includes one or more of aremaining buffer threshold and an initial buffer threshold; and outcomedata pertaining to a performance of the security, during a selected timeduring a displayed period, of security, wherein the processor is furtherconfigured to automatically update the graphical representation of thereturn rate cap after an end of the current outcome period.
 5. Thecomputer-based system of claim 1, wherein the processor is configured tocause the dynamic tool to simultaneously display investment data forthree remaining outcome periods.
 6. The computer-based system of claim3, wherein the graphical display further includes simultaneous displayof performance history of the security for at least three different timeperiods.
 7. The computer-based system of claim 1, wherein the graphicaldisplay further includes: in an interactive window, in response to aninput from the user interface, date-specific investment data associatedwith the security, and comprising a date-specific remaining cap and adate-specific remaining buffer, that are each associated with a selecteddate that predates the display date and is within the current outcomeperiod.
 8. The computer-based system of claim 1, wherein the dynamictool is configured to display: a primary display and a secondarydisplay, the secondary display having a viewing area smaller than theprimary display, the primary display including the graphical display. 9.The computer-based system of claim 8, wherein the secondary display islinked to a positioning of a user's selection on the primary display.10. The computer-based system of claim 9, wherein the graphical displayof investment data associated with the security includes a line curvegraph and the secondary display displays data associated with thedisplayed period based on the positioning of the user's selection on theline curve graph.
 11. The computer-based system of claim 8, wherein theprimary display is displayed proximate the secondary display.
 12. Thecomputer-based system of claim 8, wherein the secondary display at leastpartially overlaps with the primary display.
 13. The computer-basedsystem of claim 8, wherein the second display is an interactive pop-upwindow on the primary display.
 14. The computer-based system of claim 1,wherein the display date is a boundary of the graphical display.
 15. Thecomputer-based system of claim 1, wherein the outcome data is displayedupon selection of a line curve graph of the graphical display.
 16. Thecomputer-based system of claim 15, wherein the line curve graph isassociated with the security and the graphical display further includesa security line curve graph associated with an underlying securitiesindex associated with the security.
 17. The computer-based system ofclaim 15, wherein the line curve graph is displayed between thegraphical representation of the outcome period cap and a graphicalrepresentation of an outcome period buffer.
 18. The computer-basedsystem of claim 17, wherein the graphical display further includes: avisual representation of the outcome period cap, the visualrepresentation of the outcome period cap being proximate to thegraphical representation of the outcome period cap; and a visualrepresentation of the outcome period buffer, the visual representationof the outcome period buffer being proximate to the graphicalrepresentation of the outcome period buffer.
 19. The computer-basedsystem according to claim 3, wherein the processor is further configuredto: concurrently display with the graphical representation of theperformance of the security over the displayed period, a graphicalrepresentation of a comparative investment over the displayed period andoutcome data for the comparative investment; and in response to an inputvia the user interface, update the outcome data for the comparativeinvestment on the dynamic tool based on the input.
 20. Thecomputer-based system of claim 1, wherein the processor is configured torender, based on a position of a user's cursor, on the user interface agraphical, representation of a past return rate cap associated with apreceding display date and a graphical representation of a pastperformance of the security associated with a preceding display date,the preceding display date being prior to the display date.
 21. Thecomputer-based system of claim 1, wherein the outcome data displayed onthe graphical display at the selected time is displayed based on a userinteraction with the graphical display.
 22. The computer-based system ofclaim 21, wherein the user interaction is an input by a user on the userinterface.
 23. The computer-based method of claim 4 further comprising:automatically updating the graphical representation of the performanceof the security on a successive display date, the successive displaydate occurring after the display date.
 24. The computer-based method ofclaim 4 further comprising: a graphical representation of theperformance of the security over the displayed period that terminatesprior to an end of the current outcome period; and automaticallyupdating the graphical representation of the performance of the securityon a successive display date, the successive display date occurringafter the display date.